市场操纵对股票收益率偏离的影响研究——基于事件研究法视角

The Impact of Market Manipulation on Stock Return Deviation: Based on the Perspective of Event Study

选取2014—2021年证监会公开做出处罚的市场操纵案例作为样本,以超额收益率作为基础度量指标,利用事件研究法,研究市场操纵对股票收益率偏离的影响。实证结果表明:市场操纵对上市公司股票的累计平均超额收益率有显著影响,但这种影响持续时间较为短暂,这说明我国投资者跟风投资行为在降低,市场有效性在提升。进一步通过异质性分析发现,在操纵时长不同、股权性质不同、板块不同的情况下,市场操纵对股票收益率偏离的影响程度存在显著性差异。操纵时间越长的股票收益率偏离程度越大;非国有企业股票收益率偏离程度比国有企业大;创业板市场股票收益率偏离程度最大,原中小板次之,主板市场波动最小。因此,监管机构应加强监管非国有企业和创业板市场中的操纵行为,加大对操纵违规行为的惩处力度,防范金融风险,以实现股票市场的有效运行。

This paper selects the market manipulation cases publicly punished by the China Securities Regulatory Commission from 2014 to 2021 as a sample, takes excess return as the basic measure,and uses the event study method to study the impact of market manipulation on the deviation of stock returns. The empirical results show that: market manipulation has a significant impact on the cumulative average excess return of listed companies’ stocks, but the impact is relatively short-lived, which indicates that Chinese investors’ investment behaviors are decreasing and market effectiveness is improving. Further through the heterogeneity analysis, it is found that there are significant differences in the degree of influence of market manipulation on the deviation of stock returns under the conditions of different manipulation durations, different equity properties, and different sectors. The longer the manipulation time is, the greater the deviation of the return rate of the stock;the degree of deviation of the return of the non-state-owned enterprise is larger than that of the state-owned enterprise;the degree of deviation of the stock return of the ChiNext market is the largest, followed by the original small and medium-sized board, and the fluctuation of the main board market is the smallest. Therefore, government regulators should strengthen the supervision of non-state-owned enterprises and manipulation in the ChiNext market, increase the punishment for manipulation violations, and prevent financial risks in order to realize the effective operation of the stock market.